0001172661-22-002291.txt : 20221104 0001172661-22-002291.hdr.sgml : 20221104 20221104124845 ACCESSION NUMBER: 0001172661-22-002291 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20220930 FILED AS OF DATE: 20221104 DATE AS OF CHANGE: 20221104 EFFECTIVENESS DATE: 20221104 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SSI INVESTMENT MANAGEMENT LLC CENTRAL INDEX KEY: 0000938487 IRS NUMBER: 952913505 STATE OF INCORPORATION: DE FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-04720 FILM NUMBER: 221361320 BUSINESS ADDRESS: STREET 1: 2121 AVENUE OF THE STARS STREET 2: SUITE 2050 CITY: LOS ANGELES STATE: CA ZIP: 90067 BUSINESS PHONE: 3105952000 MAIL ADDRESS: STREET 1: 2121 AVENUE OF THE STARS STREET 2: SUITE 2050 CITY: LOS ANGELES STATE: CA ZIP: 90067 FORMER COMPANY: FORMER CONFORMED NAME: SSI INVESTMENT MANAGEMENT INC DATE OF NAME CHANGE: 19990414 13F-HR 1 primary_doc.xml 13F-HR LIVE false true false 0000938487 XXXXXXXX 09-30-2022 09-30-2022 false SSI INVESTMENT MANAGEMENT LLC

2121 Avenue Of The Stars Suite 2050 Los Angeles CA 90067

13F HOLDINGS REPORT 028-04720 N Syed Mehdi 310-595-2001 /s/ Syed Mehdi Beverly Hills CA 11-04-2022 4 628 1489450 1 0001125816 028-06487 FIRST TRUST ADVISORS LP 2 0001673385 028-17446 Morningstar Investment Management LLC 3 0000908758 028-14511 American Beacon Advisors, Inc. 4 0001308668 028-10998 GuideStone Capital Management, LLC INFORMATION TABLE 2 infotable.xml 8X8 INC NEW NOTE 0.500% 2/0 282914AB6 1005 1190000 PRN DFND 2 1190000 0 0 8X8 INC NEW NOTE 0.500% 2/0 282914AB6 916 1084000 PRN DFND 3 1084000 0 0 8X8 INC NEW NOTE 0.500% 2/0 282914AB6 461 546000 PRN DFND 4 546000 0 0 8X8 INC NEW NOTE 0.500% 2/0 282914AB6 152 180000 PRN SOLE 180000 0 0 ABBOTT LABS COM 002824100 487 5041 SH SOLE 5041 0 0 ABBVIE INC COM 00287Y109 473 3507 SH SOLE 3507 0 0 ACCENTURE PLC IRELAND SHS CLASS A G1151C101 295 1143 SH SOLE 1143 0 0 ADOBE SYSTEMS INCORPORATED COM 00724F101 243 883 SH SOLE 883 0 0 AIR TRANS SVCS GROUP INC NOTE 1.125%10/1 00922RAB1 665 667000 PRN DFND 1 667000 0 0 AIR TRANS SVCS GROUP INC 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6.750% 2/1 42330PAK3 175 174000 PRN SOLE 174000 0 0 HELIX ENERGY SOLUTIONS GRP I NOTE 4.125% 9/1 42330PAJ6 64 65000 PRN SOLE 65000 0 0 HERBALIFE NUTRITION LTD NOTE 2.625% 3/1 42703MAD5 795 879000 PRN DFND 2 879000 0 0 HERBALIFE NUTRITION LTD NOTE 2.625% 3/1 42703MAD5 627 693000 PRN DFND 3 693000 0 0 HERBALIFE NUTRITION LTD NOTE 2.625% 3/1 42703MAD5 337 373000 PRN DFND 4 373000 0 0 HERBALIFE NUTRITION LTD NOTE 2.625% 3/1 42703MAD5 50 55000 PRN SOLE 55000 0 0 HOME DEPOT INC COM 437076102 505 1833 SH SOLE 1833 0 0 HONEYWELL INTL INC COM 438516106 298 1768 SH SOLE 1768 0 0 HOPE BANCORP INC NOTE 2.000% 5/1 43940TAB5 2149 2255000 PRN SOLE 2255000 0 0 I3 VERTICALS LLC NOTE 1.000% 2/1 44933TAB2 573 673000 PRN DFND 2 673000 0 0 I3 VERTICALS LLC NOTE 1.000% 2/1 44933TAB2 825 968000 PRN DFND 3 968000 0 0 I3 VERTICALS LLC NOTE 1.000% 2/1 44933TAB2 371 436000 PRN DFND 4 436000 0 0 I3 VERTICALS LLC NOTE 1.000% 2/1 44933TAB2 148 173000 PRN SOLE 173000 0 0 ILLUMINA INC NOTE 8/1 452327AK5 11988 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9/0 45784PAK7 1379 1170000 PRN DFND 1 1170000 0 0 INSULET CORP NOTE 0.375% 9/0 45784PAK7 9635 8175000 PRN SOLE 8175000 0 0 INTEL CORP COM 458140100 230 8964 SH SOLE 8964 0 0 INTERCONTINENTAL EXCHANGE IN COM 45866F104 388 4307 SH SOLE 4307 0 0 INTUIT COM 461202103 202 518 SH SOLE 518 0 0 IONIS PHARMACEUTICALS INC NOTE 4/0 462222AD2 963 975000 PRN DFND 1 975000 0 0 IONIS PHARMACEUTICALS INC NOTE 4/0 462222AD2 5902 5970000 PRN SOLE 5970000 0 0 IRONWOOD PHARMACEUTICALS INC NOTE 1.500% 6/1 46333XAH1 650 640000 PRN DFND 1 640000 0 0 IRONWOOD PHARMACEUTICALS INC NOTE 1.500% 6/1 46333XAH1 4088 4031000 PRN SOLE 4031000 0 0 ISHARES INC CORE MSCI EMKT 46434G103 3694 85957 SH SOLE 85957 0 0 ISHARES TR CORE US AGGBD ET 464287226 399 4156 SH SOLE 4156 0 0 ISHARES TR ISHARES BIOTECH 464287556 2523 21577 SH SOLE 21577 0 0 ISHARES TR FLTG RATE NT ETF 46429B655 515 10279 SH SOLE 10279 0 0 ISHARES TR U.S. TECH ETF 464287721 2838 38699 SH SOLE 38699 0 0 ISHARES TR U.S. REAL ES ETF 464287739 763 9371 SH SOLE 9371 0 0 ISHARES TR 7-10 YR TRSY BD 464287440 19764 205890 SH SOLE 205890 0 0 ISHARES TR RUS 1000 VAL ETF 464287598 555 4077 SH SOLE 4077 0 0 ISHARES TR 1 3 YR TREAS BD 464287457 435 5356 SH SOLE 5356 0 0 ISHARES TR CORE S&P500 ETF 464287200 71458 199236 SH SOLE 199236 0 0 ITRON INC NOTE 3/1 465741AN6 834 1068000 PRN DFND 1 1068000 0 0 ITRON INC NOTE 3/1 465741AN6 4985 6386000 PRN SOLE 6386000 0 0 JAZZ INVESTMENTS I LTD NOTE 2.000% 6/1 472145AF8 2456 2295000 PRN DFND 1 2295000 0 0 JAZZ INVESTMENTS I LTD NOTE 1.500% 8/1 472145AD3 1290 1368000 PRN DFND 2 1368000 0 0 JAZZ INVESTMENTS I LTD NOTE 1.500% 8/1 472145AD3 921 977000 PRN DFND 3 977000 0 0 JAZZ INVESTMENTS I LTD NOTE 1.500% 8/1 472145AD3 427 453000 PRN DFND 4 453000 0 0 JAZZ INVESTMENTS I LTD NOTE 2.000% 6/1 472145AF8 15414 14406000 PRN SOLE 14406000 0 0 JAZZ INVESTMENTS I LTD NOTE 1.500% 8/1 472145AD3 191 202000 PRN SOLE 202000 0 0 JETBLUE AIRWAYS CORP NOTE 0.500% 4/0 477143AP6 594 837000 PRN DFND 2 837000 0 0 JETBLUE AIRWAYS CORP NOTE 0.500% 4/0 477143AP6 470 662000 PRN DFND 3 662000 0 0 JETBLUE AIRWAYS CORP NOTE 0.500% 4/0 477143AP6 253 357000 PRN DFND 4 357000 0 0 JETBLUE AIRWAYS CORP NOTE 0.500% 4/0 477143AP6 102 144000 PRN SOLE 144000 0 0 JOHN BEAN TECHNOLOGIES CORP NOTE 0.250% 5/1 477839AB0 4907 5932000 PRN SOLE 5932000 0 0 JOHNSON & JOHNSON COM 478160104 953 5823 SH SOLE 5823 0 0 JPMORGAN CHASE & CO COM 46625H100 1092 10453 SH SOLE 10453 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 568 605000 PRN DFND 2 605000 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 675 719000 PRN DFND 3 719000 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 343 365000 PRN DFND 4 365000 0 0 KAMAN CORP NOTE 3.250% 5/0 483548AF0 120 128000 PRN SOLE 128000 0 0 KEYCORP COM 493267108 212 13219 SH SOLE 13219 0 0 KIMBERLY-CLARK CORP COM 494368103 977 8685 SH SOLE 8685 0 0 KKR & CO INC 6% MCONV PFD C 48251W401 3280 60282 SH SOLE 60282 0 0 KKR REAL ESTATE FIN TR INC NOTE 6.125% 5/1 48251KAB6 548 555000 PRN DFND 2 555000 0 0 KKR REAL ESTATE FIN TR INC NOTE 6.125% 5/1 48251KAB6 578 585000 PRN DFND 3 585000 0 0 KKR REAL ESTATE FIN TR INC NOTE 6.125% 5/1 48251KAB6 313 317000 PRN DFND 4 317000 0 0 KKR REAL ESTATE FIN TR INC NOTE 6.125% 5/1 48251KAB6 43 43000 PRN SOLE 43000 0 0 LENDINGTREE INC NOTE 0.500% 7/1 52603BAD9 1451 2036000 PRN DFND 2 2036000 0 0 LENDINGTREE INC NOTE 0.500% 7/1 52603BAD9 1287 1805000 PRN DFND 3 1805000 0 0 LENDINGTREE INC NOTE 0.500% 7/1 52603BAD9 636 892000 PRN DFND 4 892000 0 0 LENDINGTREE INC NOTE 0.500% 7/1 52603BAD9 190 267000 PRN SOLE 267000 0 0 LI AUTO INC NOTE 0.250% 5/0 50202MAB8 636 620000 PRN DFND 1 620000 0 0 LI AUTO INC NOTE 0.250% 5/0 50202MAB8 3516 3427000 PRN SOLE 3427000 0 0 LIBERTY MEDIA CORP DEL NOTE 1.375%10/1 531229AB8 1060 885000 PRN DFND 1 885000 0 0 LIBERTY MEDIA CORP DEL COM SER C FRMLA 531229854 305 5200 SH SOLE 5200 0 0 LIBERTY MEDIA CORP DEL NOTE 1.375%10/1 531229AB8 6318 5276000 PRN SOLE 5276000 0 0 LIGAND PHARMACEUTICALS INC NOTE 0.750% 5/1 53220KAF5 670 692000 PRN DFND 2 692000 0 0 LIGAND PHARMACEUTICALS INC NOTE 0.750% 5/1 53220KAF5 381 394000 PRN DFND 4 394000 0 0 LIGAND PHARMACEUTICALS INC NOTE 0.750% 5/1 53220KAF5 672 695000 PRN DFND 3 695000 0 0 LIGAND PHARMACEUTICALS INC NOTE 0.750% 5/1 53220KAF5 212 219000 PRN SOLE 219000 0 0 LINDE PLC SHS G5494J103 224 826 SH SOLE 826 0 0 LIVE NATION ENTERTAINMENT IN NOTE 2.500% 3/1 538034AQ2 1182 1000000 PRN DFND 1 1000000 0 0 LIVE NATION ENTERTAINMENT IN NOTE 2.500% 3/1 538034AQ2 33 28000 PRN SOLE 28000 0 0 LIVE NATION ENTERTAINMENT IN NOTE 2.000% 2/1 538034AU3 7662 7746000 PRN SOLE 7746000 0 0 LIVENT CORP NOTE 4.125% 7/1 53814LAB4 832 231000 PRN DFND 1 231000 0 0 LIVENT CORP NOTE 4.125% 7/1 53814LAB4 4287 1190000 PRN SOLE 1190000 0 0 LIVEPERSON INC NOTE 12/1 538146AD3 1127 1661000 PRN DFND 2 1661000 0 0 LIVEPERSON INC NOTE 12/1 538146AD3 516 760000 PRN DFND 4 760000 0 0 LIVEPERSON INC NOTE 12/1 538146AD3 891 1313000 PRN DFND 3 1313000 0 0 LIVEPERSON INC NOTE 12/1 538146AD3 180 266000 PRN SOLE 266000 0 0 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735000 PRN DFND 3 735000 0 0 MACOM TECH SOLUTIONS HLDGS I NOTE 0.250% 3/1 55405YAB6 348 380000 PRN DFND 4 380000 0 0 MACOM TECH SOLUTIONS HLDGS I NOTE 0.250% 3/1 55405YAB6 6554 7158000 PRN SOLE 7158000 0 0 MAGNITE INC NOTE 0.250% 3/1 55955DAB6 1701 2326000 PRN DFND 2 2326000 0 0 MAGNITE INC NOTE 0.250% 3/1 55955DAB6 1425 1949000 PRN DFND 3 1949000 0 0 MAGNITE INC NOTE 0.250% 3/1 55955DAB6 724 990000 PRN DFND 4 990000 0 0 MAGNITE INC NOTE 0.250% 3/1 55955DAB6 172 235000 PRN SOLE 235000 0 0 MAKEMYTRIP LIMITED MAURITIUS NOTE 2/1 56087FAB0 1245 1195000 PRN DFND 1 1195000 0 0 MAKEMYTRIP LIMITED MAURITIUS NOTE 2/1 56087FAB0 7149 6862000 PRN SOLE 6862000 0 0 MARRIOTT VACATIONS WORLDWIDE NOTE 1/1 57164YAD9 680 740000 PRN DFND 1 740000 0 0 MARRIOTT VACATIONS WORLDWIDE NOTE 1/1 57164YAD9 4251 4626000 PRN SOLE 4626000 0 0 MASTERCARD INCORPORATED CL A 57636Q104 430 1511 SH SOLE 1511 0 0 MCDONALDS CORP COM 580135101 483 2094 SH SOLE 2094 0 0 MEDTRONIC PLC SHS G5960L103 259 3192 SH SOLE 3192 0 0 MERCK & CO INC COM 58933Y105 544 6319 SH SOLE 6319 0 0 META PLATFORMS INC CL A 30303M102 623 4581 SH SOLE 4581 0 0 MFA FINL INC NOTE 6.250% 6/1 55272XAA0 2658 3082000 PRN DFND 2 3082000 0 0 MFA FINL INC NOTE 6.250% 6/1 55272XAA0 1256 1456000 PRN DFND 4 1456000 0 0 MFA FINL INC NOTE 6.250% 6/1 55272XAA0 2237 2594000 PRN DFND 3 2594000 0 0 MFA FINL INC NOTE 6.250% 6/1 55272XAA0 318 368000 PRN SOLE 368000 0 0 MICROCHIP TECHNOLOGY INC. NOTE 0.125%11/1 595017AU8 1418 1400000 PRN DFND 1 1400000 0 0 MICROCHIP TECHNOLOGY INC. NOTE 0.125%11/1 595017AU8 13652 13485000 PRN SOLE 13485000 0 0 MICROSOFT CORP COM 594918104 3695 15868 SH SOLE 15868 0 0 MITEK SYS INC NOTE 0.750% 2/0 606710AA9 666 825000 PRN DFND 2 825000 0 0 MITEK SYS INC NOTE 0.750% 2/0 606710AA9 304 377000 PRN DFND 4 377000 0 0 MITEK SYS INC NOTE 0.750% 2/0 606710AA9 565 700000 PRN DFND 3 700000 0 0 MITEK SYS INC NOTE 0.750% 2/0 606710AA9 79 98000 PRN SOLE 98000 0 0 MONGODB INC NOTE 0.250% 1/1 60937PAD8 624 535000 PRN DFND 1 535000 0 0 MONGODB INC NOTE 0.250% 1/1 60937PAD8 3991 3422000 PRN SOLE 3422000 0 0 MORGAN STANLEY COM NEW 617446448 223 2849 SH SOLE 2849 0 0 MOTOROLA SOLUTIONS INC COM NEW 620076307 200 889 SH SOLE 889 0 0 NCL CORP LTD NOTE 5.375% 8/0 62886HAX9 555 565000 PRN DFND 1 565000 0 0 NCL CORP LTD NOTE 5.375% 8/0 62886HAX9 3320 3376000 PRN SOLE 3376000 0 0 NEUROCRINE BIOSCIENCES INC NOTE 2.250% 5/1 64125CAD1 643 458000 PRN DFND 1 458000 0 0 NEUROCRINE BIOSCIENCES INC NOTE 2.250% 5/1 64125CAD1 4160 2965000 PRN SOLE 2965000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 817 838000 PRN DFND 2 838000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 327 336000 PRN DFND 4 336000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 680 698000 PRN DFND 3 698000 0 0 NEW RELIC INC NOTE 0.500% 5/0 64829BAB6 125 128000 PRN SOLE 128000 0 0 NEW YORK CMNTY CAP TR V UNIT 05/07/2051 64944P307 671 15668 SH DFND 2 15668 0 0 NEW YORK CMNTY CAP TR V UNIT 05/07/2051 64944P307 874 20409 SH DFND 3 20409 0 0 NEW YORK CMNTY CAP TR V UNIT 05/07/2051 64944P307 371 8655 SH DFND 4 8655 0 0 NEW YORK CMNTY CAP TR V UNIT 05/07/2051 64944P307 104 2425 SH SOLE 2425 0 0 NEXTERA ENERGY INC UNIT 03/01/2023 65339F770 4294 86625 SH DFND 1 86625 0 0 NEXTERA ENERGY INC UNIT 03/01/2023 65339F770 25523 514845 SH SOLE 514845 0 0 NEXTERA ENERGY INC UNIT 09/01/2023 65339F739 1833 37780 SH SOLE 37780 0 0 NICE LTD NOTE 9/1 653656AB4 32 35000 PRN SOLE 35000 0 0 NIKE INC CL B 654106103 221 2665 SH SOLE 2665 0 0 NISOURCE INC UNIT 12/01/2023 65473P121 1022 10200 SH DFND 1 10200 0 0 NISOURCE INC UNIT 12/01/2023 65473P121 9349 93275 SH SOLE 93275 0 0 NORTHROP GRUMMAN CORP COM 666807102 220 470 SH SOLE 470 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 1667 1566000 PRN DFND 2 1566000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 1195 1123000 PRN DFND 3 1123000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 610 573000 PRN DFND 4 573000 0 0 NRG ENERGY INC DBCV 2.750% 6/0 629377CG5 253 238000 PRN SOLE 238000 0 0 NVIDIA CORPORATION COM 67066G104 610 5014 SH SOLE 5014 0 0 OKTA INC NOTE 0.125% 9/0 679295AD7 1663 1992000 PRN DFND 1 1992000 0 0 OKTA INC NOTE 0.125% 9/0 679295AD7 11000 13174000 PRN SOLE 13174000 0 0 ON SEMICONDUCTOR CORP NOTE 5/0 682189AS4 2158 1637000 PRN DFND 1 1637000 0 0 ON SEMICONDUCTOR CORP NOTE 5/0 682189AS4 13114 9944000 PRN SOLE 9944000 0 0 ORACLE CORP COM 68389X105 321 5290 SH SOLE 5290 0 0 OREILLY AUTOMOTIVE INC COM 67103H107 312 444 SH SOLE 444 0 0 PACIRA BIOSCIENCES INC NOTE 0.750% 8/0 695127AF7 1330 1355000 PRN DFND 1 1355000 0 0 PACIRA BIOSCIENCES INC NOTE 0.750% 8/0 695127AF7 7364 7504000 PRN SOLE 7504000 0 0 PALO ALTO NETWORKS INC NOTE 0.750% 7/0 697435AD7 4190 2260000 PRN DFND 1 2260000 0 0 PALO ALTO NETWORKS INC NOTE 0.375% 6/0 697435AF2 769 455000 PRN DFND 1 455000 0 0 PALO ALTO NETWORKS INC NOTE 0.750% 7/0 697435AD7 31929 17223000 PRN SOLE 17223000 0 0 PARSONS CORP DEL NOTE 0.250% 8/1 70202LAB8 1029 1000000 PRN DFND 1 1000000 0 0 PARSONS CORP DEL NOTE 0.250% 8/1 70202LAB8 6774 6586000 PRN SOLE 6586000 0 0 PEBBLEBROOK HOTEL TR NOTE 1.750%12/1 70509VAA8 1186 1390000 PRN DFND 1 1390000 0 0 PEBBLEBROOK HOTEL TR NOTE 1.750%12/1 70509VAA8 1216 1426000 PRN DFND 2 1426000 0 0 PEBBLEBROOK HOTEL TR NOTE 1.750%12/1 70509VAA8 1053 1235000 PRN DFND 3 1235000 0 0 PEBBLEBROOK HOTEL TR NOTE 1.750%12/1 70509VAA8 532 624000 PRN DFND 4 624000 0 0 PEBBLEBROOK HOTEL TR NOTE 1.750%12/1 70509VAA8 7395 8670000 PRN SOLE 8670000 0 0 PENNYMAC CORP NOTE 5.500% 3/1 70932AAF0 750 923000 PRN DFND 2 923000 0 0 PENNYMAC CORP NOTE 5.500%11/0 70932AAD5 2429 2600000 PRN DFND 2 2600000 0 0 PENNYMAC CORP NOTE 5.500% 3/1 70932AAF0 813 1000000 PRN DFND 4 1000000 0 0 PENNYMAC CORP NOTE 5.500%11/0 70932AAD5 855 915000 PRN DFND 4 915000 0 0 PENNYMAC CORP NOTE 5.500% 3/1 70932AAF0 672 827000 PRN DFND 3 827000 0 0 PENNYMAC CORP NOTE 5.500%11/0 70932AAD5 2038 2181000 PRN DFND 3 2181000 0 0 PENNYMAC CORP NOTE 5.500%11/0 70932AAD5 284 304000 PRN SOLE 304000 0 0 PEPSICO INC COM 713448108 548 3355 SH SOLE 3355 0 0 PERKINELMER INC COM 714046109 256 2133 SH SOLE 2133 0 0 PERMIAN RESOURCES CORP NOTE 3.250% 4/0 15136AAA0 1160 871000 PRN DFND 2 871000 0 0 PERMIAN RESOURCES CORP NOTE 3.250% 4/0 15136AAA0 1513 1136000 PRN DFND 3 1136000 0 0 PERMIAN RESOURCES CORP NOTE 3.250% 4/0 15136AAA0 666 500000 PRN DFND 4 500000 0 0 PERMIAN RESOURCES CORP NOTE 3.250% 4/0 15136AAA0 324 243000 PRN SOLE 243000 0 0 PFIZER INC COM 717081103 805 18413 SH SOLE 18413 0 0 PG&E CORP UNIT 08/16/2023 69331C140 1557 13575 SH DFND 1 13575 0 0 PG&E CORP UNIT 08/16/2023 69331C140 7078 61735 SH SOLE 61735 0 0 PINDUODUO INC NOTE 12/0 722304AC6 384 428000 PRN DFND 2 428000 0 0 PINDUODUO INC NOTE 12/0 722304AC6 304 339000 PRN DFND 3 339000 0 0 PINDUODUO INC NOTE 12/0 722304AC6 164 183000 PRN DFND 4 183000 0 0 PINDUODUO INC NOTE 12/0 722304AC6 44 50000 PRN SOLE 50000 0 0 PIONEER NAT RES CO NOTE 0.250% 5/1 723787AP2 2346 1083000 PRN DFND 1 1083000 0 0 PIONEER NAT RES CO NOTE 0.250% 5/1 723787AP2 758 350000 PRN DFND 2 350000 0 0 PIONEER NAT RES CO NOTE 0.250% 5/1 723787AP2 851 393000 PRN DFND 3 393000 0 0 PIONEER NAT RES CO NOTE 0.250% 5/1 723787AP2 238 110000 PRN DFND 4 110000 0 0 PIONEER NAT RES CO NOTE 0.250% 5/1 723787AP2 44824 20695000 PRN SOLE 20695000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 1214 1240000 PRN DFND 2 1240000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 294 300000 PRN DFND 4 300000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 802 819000 PRN DFND 3 819000 0 0 PRA GROUP INC NOTE 3.500% 6/0 69354NAB2 138 141000 PRN SOLE 141000 0 0 PROCTER AND GAMBLE CO COM 742718109 843 6679 SH SOLE 6679 0 0 PROGRESS SOFTWARE CORP NOTE 1.000% 4/1 743312AB6 1373 1464000 PRN DFND 2 1464000 0 0 PROGRESS SOFTWARE CORP NOTE 1.000% 4/1 743312AB6 395 421000 PRN DFND 4 421000 0 0 PROGRESS SOFTWARE CORP NOTE 1.000% 4/1 743312AB6 1112 1186000 PRN DFND 3 1186000 0 0 PROGRESS SOFTWARE CORP NOTE 1.000% 4/1 743312AB6 168 179000 PRN SOLE 179000 0 0 PROSHARES TR SHRT 20+YR TRE 74347X849 1802 80796 SH DFND 2 80796 0 0 PROSHARES TR SHRT 20+YR TRE 74347X849 1026 45989 SH DFND 4 45989 0 0 PROSHARES TR SHRT 20+YR TRE 74347X849 1460 65461 SH DFND 3 65461 0 0 PROSHARES TR SHRT 20+YR TRE 74347X849 173 7754 SH SOLE 7754 0 0 PROSPECT CAP CORP NOTE 6.375% 3/0 74348TAT9 5552 5607000 PRN SOLE 5607000 0 0 PRUDENTIAL FINL INC COM 744320102 215 2504 SH SOLE 2504 0 0 PTC THERAPEUTICS INC NOTE 1.500% 9/1 69366JAD3 849 725000 PRN DFND 1 725000 0 0 PTC THERAPEUTICS INC NOTE 1.500% 9/1 69366JAD3 5279 4503000 PRN SOLE 4503000 0 0 PURE STORAGE INC NOTE 0.125% 4/1 74624MAB8 779 690000 PRN DFND 1 690000 0 0 PURE STORAGE INC NOTE 0.125% 4/1 74624MAB8 3994 3538000 PRN SOLE 3538000 0 0 RBC BEARINGS INC 5% CNV PFD SR A 75524B203 618 6000 SH DFND 1 6000 0 0 RBC BEARINGS INC 5% CNV PFD SR A 75524B203 327 3169 SH DFND 2 3169 0 0 RBC BEARINGS INC 5% CNV PFD SR A 75524B203 396 3847 SH DFND 3 3847 0 0 RBC BEARINGS INC 5% CNV PFD SR A 75524B203 197 1916 SH DFND 4 1916 0 0 RBC BEARINGS INC 5% CNV PFD SR A 75524B203 84 818 SH SOLE 818 0 0 READY CAPITAL CORP 7% CN SR NT 2023 75574U200 874 35062 SH DFND 2 35062 0 0 READY CAPITAL CORP 7% CN SR NT 2023 75574U200 691 27721 SH DFND 3 27721 0 0 READY CAPITAL CORP 7% CN SR NT 2023 75574U200 372 14935 SH DFND 4 14935 0 0 READY CAPITAL CORP 7% CN SR NT 2023 75574U200 219 8782 SH SOLE 8782 0 0 REALOGY GRP LLC/REALOGY CO NOTE 0.250% 6/1 75606DAP6 1208 1731000 PRN DFND 2 1731000 0 0 REALOGY GRP LLC/REALOGY CO NOTE 0.250% 6/1 75606DAP6 499 715000 PRN DFND 4 715000 0 0 REALOGY GRP LLC/REALOGY CO NOTE 0.250% 6/1 75606DAP6 921 1319000 PRN DFND 3 1319000 0 0 REALOGY GRP LLC/REALOGY CO NOTE 0.250% 6/1 75606DAP6 164 235000 PRN SOLE 235000 0 0 REDWOOD TRUST INC NOTE 4.750% 8/1 758075AC9 410 419000 PRN DFND 2 419000 0 0 REDWOOD TRUST INC NOTE 5.625% 7/1 758075AD7 1122 1250000 PRN DFND 2 1250000 0 0 REDWOOD TRUST INC NOTE 5.625% 7/1 758075AD7 1483 1652000 PRN DFND 3 1652000 0 0 REDWOOD TRUST INC NOTE 4.750% 8/1 758075AC9 309 316000 PRN DFND 3 316000 0 0 REDWOOD TRUST INC NOTE 5.625% 7/1 758075AD7 205 228000 PRN DFND 4 228000 0 0 REDWOOD TRUST INC NOTE 4.750% 8/1 758075AC9 235 240000 PRN DFND 4 240000 0 0 REDWOOD TRUST INC NOTE 4.750% 8/1 758075AC9 25 25000 PRN SOLE 25000 0 0 REDWOOD TRUST INC NOTE 5.625% 7/1 758075AD7 58 64000 PRN SOLE 64000 0 0 REVANCE THERAPEUTICS INC NOTE 1.750% 2/1 761330AB5 1497 1380000 PRN DFND 1 1380000 0 0 REVANCE THERAPEUTICS INC NOTE 1.750% 2/1 761330AB5 9258 8530000 PRN SOLE 8530000 0 0 RINGCENTRAL INC NOTE 3/0 76680RAF4 1616 1921000 PRN DFND 1 1921000 0 0 RINGCENTRAL INC NOTE 3/0 76680RAF4 1260 1498000 PRN DFND 2 1498000 0 0 RINGCENTRAL INC NOTE 3/0 76680RAF4 1110 1319000 PRN DFND 3 1319000 0 0 RINGCENTRAL INC NOTE 3/0 76680RAF4 389 462000 PRN DFND 4 462000 0 0 RINGCENTRAL INC NOTE 3/0 76680RAF4 7471 8880000 PRN SOLE 8880000 0 0 ROYAL CARIBBEAN GROUP NOTE 4.250% 6/1 780153BB7 1759 1809000 PRN DFND 2 1809000 0 0 ROYAL CARIBBEAN GROUP NOTE 4.250% 6/1 780153BB7 422 434000 PRN DFND 4 434000 0 0 ROYAL CARIBBEAN GROUP NOTE 4.250% 6/1 780153BB7 1507 1550000 PRN DFND 3 1550000 0 0 ROYAL CARIBBEAN GROUP NOTE 4.250% 6/1 780153BB7 1138 1170000 PRN SOLE 1170000 0 0 RWT HLDGS INC NOTE 5.750%10/0 749772AD1 1336 1573000 PRN DFND 2 1573000 0 0 RWT HLDGS INC NOTE 5.750%10/0 749772AD1 611 719000 PRN DFND 3 719000 0 0 RWT HLDGS INC NOTE 5.750%10/0 749772AD1 756 890000 PRN DFND 4 890000 0 0 RWT HLDGS INC NOTE 5.750%10/0 749772AD1 270 318000 PRN SOLE 318000 0 0 SABRE GLBL INC NOTE 4.000% 4/1 78573NAE2 548 578000 PRN DFND 2 578000 0 0 SABRE GLBL INC NOTE 4.000% 4/1 78573NAE2 332 350000 PRN DFND 4 350000 0 0 SABRE GLBL INC NOTE 4.000% 4/1 78573NAE2 668 704000 PRN DFND 3 704000 0 0 SABRE GLBL INC NOTE 4.000% 4/1 78573NAE2 112 118000 PRN SOLE 118000 0 0 SALESFORCE INC COM 79466L302 338 2349 SH SOLE 2349 0 0 SAREPTA THERAPEUTICS INC DEBT 1.250% 9/1 803607AC4 2147 2085000 PRN DFND 1 2085000 0 0 SAREPTA THERAPEUTICS INC DEBT 1.250% 9/1 803607AC4 372 361000 PRN DFND 2 361000 0 0 SAREPTA THERAPEUTICS INC DEBT 1.250% 9/1 803607AC4 293 285000 PRN DFND 3 285000 0 0 SAREPTA THERAPEUTICS INC DEBT 1.250% 9/1 803607AC4 159 154000 PRN DFND 4 154000 0 0 SAREPTA THERAPEUTICS INC DEBT 1.250% 9/1 803607AC4 12067 11720000 PRN SOLE 11720000 0 0 SAREPTA THERAPEUTICS INC DBCV 1.500%11/1 803607AB6 391 235000 PRN SOLE 235000 0 0 SCHLUMBERGER LTD COM STK 806857108 331 9196 SH SOLE 9196 0 0 SEA LTD NOTE 2.375%12/0 81141RAF7 578 579000 PRN DFND 1 579000 0 0 SEA LTD NOTE 2.375%12/0 81141RAF7 3736 3741000 PRN SOLE 3741000 0 0 SELECT SECTOR SPDR TR ENERGY 81369Y506 1776 24674 SH SOLE 24674 0 0 SELECT SECTOR SPDR TR SBI INT-UTILS 81369Y886 1708 26076 SH SOLE 26076 0 0 SERVICENOW INC COM 81762P102 208 551 SH SOLE 551 0 0 SFL CORPORATION LTD NOTE 4.875% 5/0 824689AG8 477 486000 PRN DFND 2 486000 0 0 SFL CORPORATION LTD NOTE 4.875% 5/0 824689AG8 632 643000 PRN DFND 3 643000 0 0 SFL CORPORATION LTD NOTE 4.875% 5/0 824689AG8 223 227000 PRN DFND 4 227000 0 0 SFL CORPORATION LTD NOTE 4.875% 5/0 824689AG8 142 144000 PRN SOLE 144000 0 0 SHIFT4 PMTS INC NOTE 12/1 82452JAB5 1174 1330000 PRN DFND 1 1330000 0 0 SHIFT4 PMTS INC NOTE 12/1 82452JAB5 6865 7778000 PRN SOLE 7778000 0 0 SILICON LABORATORIES INC NOTE 0.625% 6/1 826919AD4 548 463000 PRN DFND 1 463000 0 0 SILICON LABORATORIES INC NOTE 0.625% 6/1 826919AD4 3540 2990000 PRN SOLE 2990000 0 0 SNAP INC NOTE 5/0 83304AAF3 890 1291000 PRN DFND 2 1291000 0 0 SNAP INC NOTE 5/0 83304AAF3 823 1194000 PRN DFND 3 1194000 0 0 SNAP INC NOTE 5/0 83304AAF3 225 327000 PRN DFND 4 327000 0 0 SNAP INC NOTE 0.750% 8/0 83304AAB2 448 522000 PRN SOLE 522000 0 0 SNAP INC NOTE 5/0 83304AAF3 130 188000 PRN SOLE 188000 0 0 SOUTHWEST AIRLS CO NOTE 1.250% 5/0 844741BG2 2317 2030000 PRN DFND 1 2030000 0 0 SOUTHWEST AIRLS CO NOTE 1.250% 5/0 844741BG2 43263 37904000 PRN SOLE 37904000 0 0 SPDR SER TR BBG CONV SEC ETF 78464A359 8335 131686 SH SOLE 131686 0 0 SPIRIT AIRLS INC NOTE 1.000% 5/1 848577AB8 447 535000 PRN DFND 2 535000 0 0 SPIRIT AIRLS INC NOTE 1.000% 5/1 848577AB8 271 324000 PRN DFND 4 324000 0 0 SPIRIT AIRLS INC NOTE 1.000% 5/1 848577AB8 545 653000 PRN DFND 3 653000 0 0 SPIRIT AIRLS INC NOTE 1.000% 5/1 848577AB8 115 138000 PRN SOLE 138000 0 0 SPLUNK INC NOTE 1.125% 9/1 848637AD6 2607 2963000 PRN DFND 1 2963000 0 0 SPLUNK INC NOTE 1.125% 6/1 848637AF1 864 1098000 PRN DFND 2 1098000 0 0 SPLUNK INC NOTE 1.125% 6/1 848637AF1 746 948000 PRN DFND 3 948000 0 0 SPLUNK INC NOTE 1.125% 6/1 848637AF1 279 355000 PRN DFND 4 355000 0 0 SPLUNK INC NOTE 1.125% 9/1 848637AD6 16708 18988000 PRN SOLE 18988000 0 0 SPLUNK INC NOTE 1.125% 6/1 848637AF1 912 1159000 PRN SOLE 1159000 0 0 SPOTIFY USA INC NOTE 3/1 84921RAB6 1252 1595000 PRN SOLE 1595000 0 0 SSR MNG INC NOTE 2.500% 4/0 784730AB9 287 265000 PRN SOLE 265000 0 0 STRIDE INC NOTE 1.125% 9/0 86333MAA6 1638 1615000 PRN DFND 2 1615000 0 0 STRIDE INC NOTE 1.125% 9/0 86333MAA6 464 457000 PRN DFND 4 457000 0 0 STRIDE INC NOTE 1.125% 9/0 86333MAA6 1251 1233000 PRN DFND 3 1233000 0 0 STRIDE INC NOTE 1.125% 9/0 86333MAA6 198 195000 PRN SOLE 195000 0 0 SUMMIT HOTEL PPTYS NOTE 1.500% 2/1 866082AA8 978 1180000 PRN DFND 1 1180000 0 0 SUMMIT HOTEL PPTYS NOTE 1.500% 2/1 866082AA8 1023 1234000 PRN DFND 2 1234000 0 0 SUMMIT HOTEL PPTYS NOTE 1.500% 2/1 866082AA8 807 973000 PRN DFND 3 973000 0 0 SUMMIT HOTEL PPTYS NOTE 1.500% 2/1 866082AA8 293 353000 PRN DFND 4 353000 0 0 SUMMIT HOTEL PPTYS NOTE 1.500% 2/1 866082AA8 6512 7854000 PRN SOLE 7854000 0 0 SUNNOVA ENERGY INTL INC. NOTE 0.250%12/0 86745KAF1 862 1027000 PRN DFND 2 1027000 0 0 SUNNOVA ENERGY INTL INC. NOTE 0.250%12/0 86745KAF1 739 880000 PRN DFND 3 880000 0 0 SUNNOVA ENERGY INTL INC. NOTE 0.250%12/0 86745KAF1 395 471000 PRN DFND 4 471000 0 0 SUNNOVA ENERGY INTL INC. NOTE 0.250%12/0 86745KAF1 439 523000 PRN SOLE 523000 0 0 TESLA INC COM 88160R101 799 3016 SH SOLE 3016 0 0 THE BEAUTY HEALTH COMPANY COM CL A 88331L108 144 12330 SH SOLE 12330 0 0 THERMO FISHER SCIENTIFIC INC COM 883556102 446 874 SH SOLE 874 0 0 TOPGOLF CALLAWAY BRANDS CORP NOTE 2.750% 5/0 131193AE4 455 353000 PRN DFND 1 353000 0 0 TOPGOLF CALLAWAY BRANDS CORP NOTE 2.750% 5/0 131193AE4 649 503000 PRN DFND 2 503000 0 0 TOPGOLF CALLAWAY BRANDS CORP NOTE 2.750% 5/0 131193AE4 738 572000 PRN DFND 3 572000 0 0 TOPGOLF CALLAWAY BRANDS CORP NOTE 2.750% 5/0 131193AE4 372 288000 PRN DFND 4 288000 0 0 TOPGOLF CALLAWAY BRANDS CORP NOTE 2.750% 5/0 131193AE4 3083 2389000 PRN SOLE 2389000 0 0 TRAVERE THERAPEUTICS INC NOTE 2.250% 3/0 89422GAA5 908 892000 PRN DFND 1 892000 0 0 TRAVERE THERAPEUTICS INC NOTE 2.250% 3/0 89422GAA5 5541 5449000 PRN SOLE 5449000 0 0 TWITTER INC NOTE 0.250% 6/1 90184LAF9 1080 1065000 PRN DFND 1 1065000 0 0 TWITTER INC NOTE 0.250% 6/1 90184LAF9 6563 6470000 PRN SOLE 6470000 0 0 TWO HARBORS INVENTMENT CORPO NOTE 6.250% 1/1 90187BAB7 1416 1693000 PRN DFND 2 1693000 0 0 TWO HARBORS INVENTMENT CORPO NOTE 6.250% 1/1 90187BAB7 675 807000 PRN DFND 4 807000 0 0 TWO HARBORS INVENTMENT CORPO NOTE 6.250% 1/1 90187BAB7 1432 1712000 PRN DFND 3 1712000 0 0 TWO HARBORS INVENTMENT CORPO NOTE 6.250% 1/1 90187BAB7 240 288000 PRN SOLE 288000 0 0 TYLER TEX INDPT SCH DIST NOTE 0.250% 3/1 902252AB1 671 710000 PRN DFND 1 710000 0 0 TYLER TEX INDPT SCH DIST NOTE 0.250% 3/1 902252AB1 7122 7536000 PRN SOLE 7536000 0 0 UBER TECHNOLOGIES INC NOTE 12/1 90353TAJ9 2357 2840000 PRN DFND 1 2840000 0 0 UBER TECHNOLOGIES INC NOTE 12/1 90353TAJ9 13274 15995000 PRN SOLE 15995000 0 0 UNION PAC CORP COM 907818108 531 2727 SH SOLE 2727 0 0 UNITED PARCEL SERVICE INC CL B 911312106 212 1319 SH SOLE 1319 0 0 UNITEDHEALTH GROUP INC COM 91324P102 1119 2215 SH SOLE 2215 0 0 UPSTART HLDGS INC NOTE 0.250% 8/1 91680MAB3 1159 2060000 PRN DFND 2 2060000 0 0 UPSTART HLDGS INC NOTE 0.250% 8/1 91680MAB3 532 945000 PRN DFND 4 945000 0 0 UPSTART HLDGS INC NOTE 0.250% 8/1 91680MAB3 982 1745000 PRN DFND 3 1745000 0 0 UPWORK INC NOTE 0.250% 8/1 91688FAB0 1471 2011000 PRN DFND 2 2011000 0 0 UPWORK INC NOTE 0.250% 8/1 91688FAB0 1336 1827000 PRN DFND 3 1827000 0 0 UPWORK INC NOTE 0.250% 8/1 91688FAB0 674 922000 PRN DFND 4 922000 0 0 UPWORK INC NOTE 0.250% 8/1 91688FAB0 175 240000 PRN SOLE 240000 0 0 VAIL RESORTS INC NOTE 1/0 91879QAN9 936 1075000 PRN DFND 1 1075000 0 0 VAIL RESORTS INC NOTE 1/0 91879QAN9 6545 7515000 PRN SOLE 7515000 0 0 VALERO ENERGY CORP COM 91913Y100 242 2269 SH SOLE 2269 0 0 VANGUARD SCOTTSDALE FDS SHRT TRM CORP BD 92206C409 4555 61288 SH SOLE 61288 0 0 VANGUARD STAR FDS VG TL INTL STK F 921909768 15211 332359 SH SOLE 332359 0 0 VERINT SYSTEMS INC NOTE 0.250% 4/1 92343XAC4 1203 1445000 PRN DFND 1 1445000 0 0 VERINT SYSTEMS INC NOTE 0.250% 4/1 92343XAC4 1469 1764000 PRN DFND 2 1764000 0 0 VERINT SYSTEMS INC NOTE 0.250% 4/1 92343XAC4 601 722000 PRN DFND 4 722000 0 0 VERINT SYSTEMS INC NOTE 0.250% 4/1 92343XAC4 1107 1330000 PRN DFND 3 1330000 0 0 VERINT SYSTEMS INC NOTE 0.250% 4/1 92343XAC4 7193 8645000 PRN SOLE 8645000 0 0 VERIZON COMMUNICATIONS INC COM 92343V104 420 11068 SH SOLE 11068 0 0 VIAVI SOLUTIONS INC NOTE 1.000% 3/0 925550AB1 431 385000 PRN SOLE 385000 0 0 VISA INC COM CL A 92826C839 620 3491 SH SOLE 3491 0 0 VISHAY INTERTECHNOLOGY INC NOTE 2.250% 6/1 928298AP3 783 842000 PRN DFND 1 842000 0 0 VISHAY INTERTECHNOLOGY INC NOTE 2.250% 6/1 928298AP3 5020 5401000 PRN SOLE 5401000 0 0 WALMART INC COM 931142103 305 2349 SH SOLE 2349 0 0 WELLS FARGO CO NEW PERP PFD CNV A 949746804 2496 2085 SH DFND 1 2085 0 0 WELLS FARGO CO NEW COM 949746101 414 10312 SH SOLE 10312 0 0 WELLS FARGO CO NEW PERP PFD CNV A 949746804 19558 16340 SH SOLE 16340 0 0 WESTERN DIGITAL CORP. NOTE 1.500% 2/0 958102AP0 5846 6172000 PRN SOLE 6172000 0 0 WILLIAMS COS INC COM 969457100 225 7856 SH SOLE 7856 0 0 WINNEBAGO INDS INC NOTE 1.500% 4/0 974637AB6 1230 1176000 PRN DFND 2 1176000 0 0 WINNEBAGO INDS INC NOTE 1.500% 4/0 974637AB6 219 209000 PRN DFND 4 209000 0 0 WINNEBAGO INDS INC NOTE 1.500% 4/0 974637AB6 499 477000 PRN DFND 3 477000 0 0 WINNEBAGO INDS INC NOTE 1.500% 4/0 974637AB6 145 138000 PRN SOLE 138000 0 0 WISDOMTREE INVTS INC NOTE 4.250% 6/1 97717PAB0 703 701000 PRN DFND 2 701000 0 0 WISDOMTREE INVTS INC NOTE 3.250% 6/1 97717PAD6 158 177000 PRN DFND 2 177000 0 0 WISDOMTREE INVTS INC NOTE 3.250% 6/1 97717PAD6 195 219000 PRN DFND 3 219000 0 0 WISDOMTREE INVTS INC NOTE 4.250% 6/1 97717PAB0 900 898000 PRN DFND 3 898000 0 0 WISDOMTREE INVTS INC NOTE 3.250% 6/1 97717PAD6 93 104000 PRN DFND 4 104000 0 0 WISDOMTREE INVTS INC NOTE 4.250% 6/1 97717PAB0 201 200000 PRN DFND 4 200000 0 0 WISDOMTREE INVTS INC NOTE 4.250% 6/1 97717PAB0 201 201000 PRN SOLE 201000 0 0 WOLFSPEED INC NOTE 1.750% 5/0 225447AD3 528 232000 PRN SOLE 232000 0 0 WORKIVA INC NOTE 1.125% 8/1 98139AAB1 628 536000 PRN DFND 2 536000 0 0 WORKIVA INC NOTE 1.125% 8/1 98139AAB1 635 542000 PRN DFND 3 542000 0 0 WORKIVA INC NOTE 1.125% 8/1 98139AAB1 353 301000 PRN DFND 4 301000 0 0 WORKIVA INC NOTE 1.125% 8/1 98139AAB1 142 121000 PRN SOLE 121000 0 0 ZILLOW GROUP INC NOTE 2.750% 5/1 98954MAH4 1108 1204000 PRN DFND 2 1204000 0 0 ZILLOW GROUP INC NOTE 2.750% 5/1 98954MAH4 559 608000 PRN DFND 3 608000 0 0 ZILLOW GROUP INC NOTE 2.750% 5/1 98954MAH4 254 276000 PRN DFND 4 276000 0 0 ZILLOW GROUP INC NOTE 2.750% 5/1 98954MAH4 768 836000 PRN SOLE 836000 0 0 ZSCALER INC NOTE 0.125% 7/0 98980GAB8 1305 1025000 PRN DFND 1 1025000 0 0 ZSCALER INC NOTE 0.125% 7/0 98980GAB8 8304 6521000 PRN SOLE 6521000 0 0